TESTING THE SPECIFICATION OF A FITTED AUTOREGRESSIVE-MOVING AVERAGE MODEL
成果类型：
Article
署名作者：
POSKITT, DS; TREMAYNE, AR
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.1093/biomet/67.2.359
发表日期：
1980
页码：
359363
关键词：
摘要：
An extension of the application of score, or Lagrangian multiplier, tests to diagnostic checking of ARMA (autoregressive-moving average) models. The score test procedure for testing the null hypothesis of an ARMA (p,q) process against certain ARMA (p + r, q + s) alternatives is considered and shown to be of the form of a pure significance test.